On macrohedging problem in semimartingale markets

Frontiers in Applied Mathematics and Statistics

Melnikov, Alexander¹  Abdelghani, Mohamed¹ 

[1]Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, AB, Canada

关键词: Hedging;    Portfolio optimization;    Open Portfolios;    dynamic risk;    Hierarchical optimization;   

DOI  :  10.3389/fams.2015.00003

学科分类：数学（综合）

来源: Frontiers

【 摘 要 】

Macrohedging is a hedging technique commonly used in practice. It allows one to find a hedging policy that offsets several underlying risk factors of a portfolio of assets as a whole. Here, we develop a macrohedging methodology in a general semimartingale market. We calculate the optimal macrohedge that achieves minimum risk, in a quadratic-variation sense, given a set of possible hedging instruments. We illustrate general macrohedging results by the Black-Scholes model.

【 授权许可】

CC BY